## Abstract The recent extension of trading hours for Hang Seng Index Futures provides an opportunity to examine whether extended futures trading contains useful information about spot returns. Using the weighted price contribution measure, we find that preβopen futures trades are associated with s
Construction and Evaluation of Trading Systems: Warsaw Index Futures
β Scribed by Dorota Witkowska; Edyta Marcinkiewicz
- Book ID
- 106569172
- Publisher
- Springer US
- Year
- 2005
- Tongue
- English
- Weight
- 183 KB
- Volume
- 11
- Category
- Article
- ISSN
- 1083-0898
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract Recently, several stock index futures exchanges have experimented with an altered contract design to make the contract more attractive and to increase investor accessibility. In 1998, the Swedish futures exchange (OM) split the OMXβindex futures contract with a factor of 4:1, without al
## Abstract We examine the effect of the introduction of index futures trading in the Korean markets on spot price volatility and market efficiency of the underlying KOSPI 200 stocks, relative to the carefully matched nonβKOSPI 200 stocks. Employing both an event study approach and a matchingβsampl
## Abstract This study investigates the trading activity of the Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Limited (SGXβDT) Taiwan Stock Index Futures markets by analyzing the intraday patterns of volume and volatility. In addition, the market closure theory, which